Like many previous posters: Coconut oil, I prefer the extra virgin, organic, hard packed in a glass jar variety.
I used to have serious problems with all types of lube (itchiness, burning, dryness, etc) and after searching and searching I found coconut oil as a solution. I have been using it exclusively for 5 years now. It also lasts forever and costs less if you're willing to drop about 10 bucks on a huge jar. As an added bonus it works great as body/massage oil, deep leave in hair conditioner and it's edible!